Search Results - subject:"time until default"

Modeling portfolio credit risk taking into account the default correlations using a copula approach: Implementation to an Italian loan portfolio

Di Clemente, Annalisa - In: Journal of Risk and Financial Management 13 (2020) 6, pp. 1-23

This work aims to illustrate an advanced quantitative methodology for measuring the credit risk of a loan portfolio allowing for diversification effects. Also, this methodology can allocate the credit capital coherently to each counterparty in the portfolio. The analytical approach used for...

Persistent link: https://www.econbiz.de/10012611358

Modeling portfolio credit risk taking into account the default correlations using a copula approach : implementation to an Italian loan portfolio

Di Clemente, Annalisa - In: Journal of risk and financial management : JRFM 13 (2020) 6/129, pp. 1-23

Persistent link: https://www.econbiz.de/10012309082